certainly possible - i've done it. but the key is to have a small personal sauna, like those in hotels, not big community saunas. this isn't a new idea though - it's basically just using the sauna as a hotbox.

me and a friend put about an eighth of good bud on top of the stones used for the sauna, and the whole sauna (very small - only big enough for a maximum of 3 people who would have difficulty changing positions) smelled very nice for a while. after about 15 minutes, the sweating, cottonmouth and overwhelming THC vapor in the air caused us to tap out, but we were quite high until about 2 hours after.